A Random-Batch Monte Carlo Method for Many-Body Systems with Singular Kernels

DOI10.1137/19M1302077MaRDI QIDQ5112563zbMATH OpenFDO

Authors Lei Li, Zhenli Xu, Yue Zhao

Publication date 29 May 2020

Published in SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2003.06554

zbMATH Keywords

Langevin dynamicsMarkov chainMonte Carlorandom-batch methodstochastic differential equations

Mathematics Subject Classification ID

PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Monte Carlo methods (65C05) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Monte Carlo methods applied to problems in statistical mechanics (82M31)

Abstract: We propose a fast potential splitting Markov Chain Monte Carlo method which costs $O(1)$ time each step for sampling from equilibrium distributions (Gibbs measures) corresponding to particle systems with singular interacting kernels. We decompose the interacting potential into two parts, one is of long range but is smooth, and the other one is of short range but may be singular. To displace a particle, we first evolve a selected particle using the stochastic differential equation (SDE) under the smooth part with the idea of random batches, as commonly used in stochastic gradient Langevin dynamics. Then, we use the short range part to do a Metropolis rejection. Different from the classical Langevin dynamics, we only run the SDE dynamics with random batch for a short duration of time so that the cost in the first step is $O(p)$, where $p$ is the batch size. The cost of the rejection step is $O(1)$ since the interaction used is of short range. We justify the proposed random-batch Monte Carlo method, which combines the random batch and splitting strategies, both in theory and with numerical experiments. While giving comparable results for typical examples of the Dyson Brownian motion and Lennard-Jones fluids, our method can save more time when compared to the classical Metropolis-Hastings algorithm.

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Cited in

(26)

• An efficient backward Monte Carlo estimator for solving a quantum-kinetic equation with memory kernel
• A framework for randomized time-splitting in linear-quadratic optimal control
• A Random Batch Ewald Method for Particle Systems with Coulomb Interactions
• Random Batch Methods for Classical and Quantum Interacting Particle Systems and Statistical Samplings
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• The Random Batch Method for N-Body Quantum Dynamics
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• On the random batch method for second order interacting particle systems
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• On random batch methods (RBM) for interacting particle systems driven by Lévy processes
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• Mean field error estimate of the random batch method for vortex blob dynamics for the 2D Navier--Stokes Equation
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